BPCE - Risk Report - Pillar III 2020

CREDIT RISKS

DETAILED QUANTITATIVE DISCLOSURES

12/31/2019

Exposures before CCF and CRM Credit risk

Credit risk mitigation techniques affecting the amount of the exposure

Value of off-balance sheet items by conversion factor

Exposures post CCF and CRM

RWAs and RWA density

mitigation techniques subject to a substitution approach

On- balance sheet amount

Off- balance

On- balance sheet amount

Off- balance

sheet items

sheet items

RWA density

0% 20% 50% 100%

RWAs

in millions of euros

Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organizations

80,634

30

12,056

-

-

9

218

-

92,493

111

5,729

0

46,042 4,755 18,658 2,481

10,298 (1,817)

-

- -

2,251 2,866 785 1,451

30 55,948 1,914 360 16,663 1,243

12,102

21% 21%

(64)

3,805

5

182 982

- -

83

- -

- -

- -

7

- -

258 982

4

- -

0% 0%

-

-

-

Institutions

9,739 3,899

632

(3)

32

47 2,752 1,094 10,342 2,480

1,497

12% 25% 84% 72%

Covered bonds

232

-

-

-

-

-

-

-

232

-

57

Corporates

77,264 27,670 10,327 14,540

(7,445)

(2,000)

381 7,172 15,777 3,630 68,529 12,953

68,755

Retail

(659)

(632) 11,994 1,766

491

205 9,120

804

7,108

Equity exposures

22

-

-

-

-

-

-

-

22

-

22

100%

Collective investment undertakings

734

3 1

- -

- -

- -

-

- -

3

734

3

802

109%

Other exposures

7,132

1

-

7,132

-

6,171

87%

Claims on institutions and corporates with a short-term credit assessment Exposures secured by mortgages on immovable property Items associated with particularly high risk

481

16

(43)

-

-

16

1

-

436

3

267

61%

65,046 2,353

(10,503)

(8)

-

25 2,127

14 54,721 1,083

22,486

40%

6,782 3,004

(221) (984) 1,398

(44) (26)

-

90 2,811

-

6,620 1,424

12,065

150% 113%

Exposures in default

4,531

355

14

55

107

165 3,535

230

4,252

TOTAL

328,789 59,106

(2,776) 12,421 12,216 28,609 5,504 327,766 22,251 145,117

41%

129

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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